Only H. P. Lovecraft could really give an answer to that. The creature was his invention.
Here are quotes from two letters written by H.P. Lovecraft, courtesy of The H.P. Lovecraft Archive:
*The actual sound-as nearly as human organs could imitate it or human letters record it-may be taken as something like Khlûl'-hloo, with the first syllable pronounced gutturally and very thickly. The u is about like that in full; and the first syllable is not unlike klul in sound, since the h represents the guttural thickness. The second syllable is not very well rendered-the l sound being unrepresented. (to Duane Rimel, 23 July 1934)
*The best approximation one can make is to grunt, bark, or cough the imperfectly-formed syllables Cluh-Luh with the tip of the tongue firmly affixed to the roof of the mouth. (to Willis Conover, 29 August 1936)
To be more practical though, most people agree that most people pronounce it "kuh-THOO-loo", and since the word is from a fictional alien language and it is clearly stipulated that this language cannot be faithfully reproduced in ANY form of human language (written or otherwise), it should be fine to go with that one.
The word "Cthulhu" is pronounced as "kuh-THOO-loo." It is a name created by the writer H.P. Lovecraft for a cosmic entity in his works of fiction.
Cthulhu was created in 1928.
Cthulhu's Reign was created in 2010.
Acolytes of Cthulhu was created in 2001.
The Spawn of Cthulhu was created in 1971.
Crypt of Cthulhu ended in 2001.
Crypt of Cthulhu was created in 1981.
Pimoa cthulhu was created in 1994.
Cthulhu Cultus ended in 2001.
The Mask of Cthulhu was created in 1958.
The Trail of Cthulhu was created in 1962.
Cthulhu's Reign has 309 pages.
The Mask of Cthulhu has 201 pages.